Springer Finance

Computational Methods for Quantitative Finance

Finite Element Methods for Derivative Pricing

Autoren: Hilber, N., Reichmann, O., Schwab, C., Winter, C.

Vorschau
  • Offers an accessible introduction to modern deterministic numerical methods of option pricing
  • Presents methods for all standard European plain vanilla option as well as for widely used exotic derivative contracts, such as Barrier, American and multiperiod contracts
  • Includes a large section on methods for pricing derivatives on baskets, such as Lévy Copula models ?
Weitere Vorteile

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eBook 58,84 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-642-35401-4
  • Versehen mit digitalem Wasserzeichen, DRM-frei
  • Erhältliche Formate: PDF, EPUB
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  • Sofortiger eBook Download nach Kauf
Hardcover 96,29 €
Preis für Deutschland (Brutto)
Softcover 74,89 €
Preis für Deutschland (Brutto)
Über dieses Buch

Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. 

This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.​

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From the book reviews:

“This book … covers mainly finite element methods for derivative pricing. The book is divided into two parts: ‘Basic Techniques and Models’ and ‘Advanced Techniques and Models’. This partition makes the book useful to a large number of readers, from beginners in the subject to more advanced students and researchers, specializing not only in applied mathematics but also in mathematical finance.” (Javier de Frutos, Mathematical Reviews, July, 2014)

Inhaltsverzeichnis (16 Kapitel)

Inhaltsverzeichnis (16 Kapitel)

Dieses Buch kaufen

eBook 58,84 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-642-35401-4
  • Versehen mit digitalem Wasserzeichen, DRM-frei
  • Erhältliche Formate: PDF, EPUB
  • eBooks sind auf allen Endgeräten nutzbar
  • Sofortiger eBook Download nach Kauf
Hardcover 96,29 €
Preis für Deutschland (Brutto)
Softcover 74,89 €
Preis für Deutschland (Brutto)
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Bibliografische Information

Bibliographic Information
Buchtitel
Computational Methods for Quantitative Finance
Buchuntertitel
Finite Element Methods for Derivative Pricing
Autoren
Titel der Buchreihe
Springer Finance
Copyright
2013
Verlag
Springer-Verlag Berlin Heidelberg
Copyright Inhaber
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-35401-4
DOI
10.1007/978-3-642-35401-4
Hardcover ISBN
978-3-642-35400-7
Softcover ISBN
978-3-642-43532-4
Buchreihen ISSN
1616-0533
Auflage
1
Seitenzahl
XIII, 299
Anzahl der Bilder
9 schwarz-weiß Abbildungen, 47 Abbildungen in Farbe
Themen